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Free Writing
Prospectus
Filed Pursuant to
Rule 433
Registration
Statement No. 333-155535
Dated May 7,
2010
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J.P. Morgan
J.P. Morgan Efficiente (USD) Index
Performance Update - May 2010
OVERVIEW
The JPMorgan Efficiente (USD) Index (the "Index") is a proprietary J.P. Morgan
strategy that seeks to generate returns through the selection of up to nine
indices based on the modern portfolio theory approach to asset allocation.
Hypothetical and Actual Historical Performance - January 2, 1995 to April 30,
2010(1)
[GRAPHIC OMITTED]
Key Features of the Index
o Synthetic investment in developed equity, emerging markets, alternative
investments and global debt;
o Dynamic exposure to a synthetic portfolio that is rebalanced quarterly
pursuant to a rules-based methodology with a targeted annualized volatility
of 8% or less;
o Algorithmic portfolio construction intended to address momentum and
correlation across markets;
o Levels published on Bloomberg under the ticker EFJPUS8E.
Recent Index Performance
April 2010 March 2010 February 2010
- --------------------------------------------------------------
Historical Return(1) 1.27% 3.47% 1.44%
- --------------------------------------------------------------
Hypothetical and Actual Historical Volatility - June 27, 1995 to April 30, 20102
[GRAPHIC OMITTED]
Recent Index Composition ("Basket Constituents")3
MSCI North MSCI Europe MSCI Pacific MSCI GPR/JPM JPMorgan DJ-UBS JPMorgan JPMorgan
America Gross TR Gross TR Emerging Global EMBI Plus Commodity GBI Global Cash Index
Index Index Index Markets TR Property Composite Index Bond Index USD 3M
Index Index
- ------------------------------------------------------------------------------------------------------------------------------
April-June 25.0% 0.00% 25.0% 0.0% 10.0% 20.0% 0.0% 20.0% 0.0%
2010
- ------------------------------------------------------------------------------------------------------------------------------
January- 20.0% 0.00% 5.0% 10.0% 10.0% 25.0% 0.0% 25.0% 5.0%
March 2010
- ------------------------------------------------------------------------------------------------------------------------------
May 7, 2010
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Comparative Hypothetical and Historical Total Returns (%), Volatility (%) and
Correlation - April 30, 2010
Three Year Five Year Annualized Ten Year Ten Year Ten Year Correlation6
Annualized Return1 Return1 Annualized Return1 Annualized Volatility4 Sharpe Ratio5
- -----------------------------------------------------------------------------------------------------------------------------------------
Efficiente Index 2.30% 8.40% 6.90% 8.34% 0.827 100.00%
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MSCI World Index -8.76% 1.30% -1.33% 17.58% -0.076 61.82%
- -----------------------------------------------------------------------------------------------------------------------------------------
Dow Jones - UBS -8.04% -2.42% 3.35% 18.34% 0.183 42.97%
Commodity Index
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JPMorgan Global Bond 5.53% 4.73% 5.50% 2.80% 1.966 -1.63%
Index (USD Hedged)
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Notes
1 Represents the performance of the Index based on, as applicable to the
relevant measurement period, the hypothetical backtested weekly Index
closing levels from January 2, 1995 through June 29, 2007, and the actual
historical performance of the Index based on the weekly Index closing level
from July 6, 2007 through April 30, 2010, as well as the performance of the
MSCI World Index ("MSCI World"), the Dow Jones - UBS Commodity IndexSM
("DJ-UBS") and the JPMorgan GBI (USD Hedged) Global Bond Index ("JPM GBI")
over the same period. For purposes of these examples, each index was set
equal to 100 at the beginning of the relevant measurement period and
returns calculated arithmetically (not compounded). There is no guarantee
of any future performance for these three indices based on this
information. Source: Bloomberg and JPMorgan.
2 Calculated from the historical returns, as applicable to the relevant
measurement period, of the indices over a six-month observation period. For
any given day, represents the annualized standard deviation of each index's
arithmetic daily returns for the 126-index day period preceding that day.
The back-tested, hypothetical, historical six-month annualized volatility
has inherent limitations. These volatility results were achieved by means
of a retroactive application of a back-tested volatility model designed
with the benefit of hindsight. No representation is made that in the future
the Index, the MSCI World, DJ-UBS and JPM GBI will have the volatilities as
shown above or that the Index will outperform any alternative investment
strategy. Alternative modeling techniques or assumptions might produce
significantly different results and may prove to be more appropriate.
Actual six-month annualized volatilities may vary materially from this
analysis. Source: Bloomberg and JPMorgan.
3 On a quarterly basis (each January, April, July, and October), J.P. Morgan
Securities Ltd., or JPMSL, acting as the Index calculation agent, will
rebalance the Index to take synthetic long positions in the Basket
Constituents based on mathematical rules that govern the Index and track
the returns of the synthetic portfolio above cash. The weights for each
Basket Constituent will be adjusted to comply with certain allocation
constraints, including constraints on individual Basket Constituents, as
well as the individual sectors.
4 Calculated based on the annualized standard deviation for the ten year
period prior to April 30, 2010.
5 For the above analysis, the Sharpe Ratio, which is a measure of
risk-adjusted performance, is computed as the ten year annualized
historical return divided by the ten year annualized volatility.
6 Correlation refers to the degree the applicable index has changed relative
to daily changes in the JPMorgan Efficiente (USD) Index.
Key Risks
|X| There are risks associated with a momentum-based investment strategy--
Efficiente is different from a strategy that seeks long-term exposure to a
portfolio consisting of constant components with fixed weights. The Index
may fail to realize gains that could occur from holding assets that have
experienced price declines, but experience a sudden price spike thereafter.
|X| Correlation of performances among the Basket Constituents may reduce the
performance of the Index amongst the Basket Constituents--High correlation
during periods of negative returns among Basket Constituents representing
any one sector or asset type which have a substantial weighting in the
Index could have a material adverse effect on the performance of the
Strategy.
|X| Our affiliate, JPMSL, is the Calculation Agent and may adjust the Index in
a way that affects its level--The policies and judgments for which JPMSL is
responsible could have an impact, positive or negative, on the level of the
Index and the value of your investment. JPMSL is under no obligation to
consider your interest as an investor in securities linked to the Index.
|X| The Index may not be successful, may not outperform any alternative
strategy related to the Basket Constituents, or may not achieve its target
volatility of 8%.
|X| The investment strategy involves quarterly rebalancing and maximum
weighting caps applied to the Basket Constituents by asset type and
geographical region.
|X| Changes in the value of the Basket Constituents may offset each other.
|X| An investment linked to the Index is subject to risks associated with
non-U.S. securities markets, such as emerging markets and currency exchange
risk.
|X| The Index was established on July 2, 2007 and has a limited operating
history
The risks identified above are not exhaustive. You should also review carefully
the related "Risk Factors" section in the relevant product supplement and the
"Selected Risk Considerations" in the relevant term sheet or pricing supplement.
Index Disclaimers
"Dow JonesSM," "UBS", "Dow Jones-UBS Commodity Index Excess ReturnSM," "Dow
Jones-UBS Commodity IndexSM," and "DJ-UBSCISM" are service marks of Dow Jones
- -and- Company, Inc. and UBS Securities LLC ("UBS"), as the case may be, and have
been licensed for use for certain purposes by JPMorgan Chase -and- Co. JPMorgan
Chase -and- Co's securities based on the Dow Jones- UBS Commodity Index Total
ReturnSM, are not sponsored, endorsed, sold or promoted by Dow Jones, UBS, or
any of their respective subsidiaries or affiliates, and none of Dow Jones, UBS,
or any of their respective subsidiaries or affiliates, makes any representation
regarding the advisability of investing in such product(s). The MSCI indices are
the exclusive property of MSCI Inc. ("MSCI"). "MSCI" and the MSCI index names
are service mark(s) of MSCI or its affiliates and have been licensed for use for
certain purposes by J.P. Morgan Chase -and- Co. (the "Licensee"). The financial
securities referred to herein are not sponsored, endorsed, or promoted by MSCI,
and MSCI bears no liability with respect to any such financial securities. No
purchaser, seller or holder of this product, or any other person or entity,
should use or refer to any MSCI trade name, trademark or service mark to
sponsor, endorse, market or promote this product without first contacting MSCI
to determine whether MSCI's permission is required. Under no circumstances may
any person or entity claim any affiliation with MSCI without the prior written
permission of MSCI.
For more information on the Index and for additional key risk information see
Page 9 the Strategy Guide at
http://www.sec.gov/Archives/edgar/data/19617/000095010310001018/
crt_dp17160-fwp.pdf
DISCLAIMER
JPMorgan Chase -and- Co. ("J.P. Morgan") has filed a registration statement
(including a prospectus) with the Securities and Exchange Commission (the "SEC")
for any offerings to which these materials relate. Before you invest in any
offering of securities by J.P. Morgan, you should read the prospectus in that
registration statement, the prospectus supplement, as well as the particular
product supplement, the relevant term sheet or pricing supplement, and any other
documents that J.P. Morgan will file with the SEC relating to such offering for
more complete information about J.P. Morgan and the offering of any securities.
You may get these documents without cost by visiting EDGAR on the SEC Website at
www.sec.gov. Alternatively, J.P. Morgan, any agent, or any dealer participating
in the particular offering will arrange to send you the prospectus and the
prospectus supplement, as well as any product supplement and term sheet or
pricing supplement, if you so request by calling toll-free (866) 535-9248.
Free Writing Prospectus filed pursuant to Rule 433; Registration Statement No.
333-155535
J.P. Morgan Structured Investments | 800 576 3529 |
JPM_Structured_Investments@jpmorgan.com
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